showing the transformation converts problem

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성호 홍 on 5 Oct 2020

from Gaussian vector, (mean (1; 1) , cov ( 2 1 ; 1 1),

take 2 dimenttional smaple vector "randn(2, 1)" and uncorrelated Gaussian S ~ N (0, I)

and I habe to transformation X=UA^1/2S + µ cpnverts the uncorrelated Gaussian vector into the correlated Gaussian vector, where ∑ = UAU^T

please help me to find where to start from, I even dont know where to start

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